Why when I'm playing minecraft when I try to lure sheep with wheat, they start following me and then stop?

Probably feeding them too much wheat. Either that or too little. Or someone else has been offering them better wheat. Or they went on a gluten free diet.

You must be at a distance

Luring sheep can be tricky. If you get too far away they stop following you, if they get to close they might stop following you for a little bit. It pays to walk backwards when sheep are following you so they can keep up.